Re: [Gretl-users] OLS Forecasting
On Thu, 5 Feb 2009, Henrique wrote:
I had estimated a OLS using first difference variables, but I
would
like to forecast the dependent variable in its level. I know that this is
possible on EViews, where we can estimate a regression D(y) = a + b D(x)
(where "D" states for the difference operator, "a" and "b"
are parameters,
and "y" and "x" are the variables) and obtain the predicted
"y" values
automatically. How can I do this on gretl?
Gretl will do that automatically for an ARIMA model, but not
otherwise. But you have the cum() function to integrate a
differenced series.
open data9-7
diff 1 2 3
ols d_QNC 0 d_PRICE d_INCOME
fcast 1989:1 1990:4 --quiet
series fc = zeros($nobs-8,1) | (QNC[1988:4] + cum($fcast))
fc = zeromiss(fc)
print QNC fc --byobs
Allin Cottrell